Ανάλυση της αξίας σε κίνδυνο και του αναμενόμενου ελλείμματος στη διαχείριση κινδύνων

Βαλασίου, Σταυρούλα

Analysis of value at risk and expected shortfall in risk management

Master Thesis

Author

Βαλασίου, Σταυρούλα

Date

2026-07

Abstract

Risk management is a core function of financial institutions, contributing to the effective identification, measurement, and mitigation of potential losses arising from their operations. The need for reliable risk quantification measures led the Basel Committee on Banking Supervision to develop regulatory standards for the measurement of market risk. The Committee’s recent recommendation to use Expected Shortfall (ES) instead of Value at Risk (VaR) as a more effective risk measure has led to the development of new risk management tools, such as PELVE, introduced by Li & Wang (2023). This thesis examines VaR and ES, while presenting illustrative examples and case studies aimed at verifying theoretical results and enabling a comparative evaluation of the two measures under different conditions. Finally, the PELVE measure is studied through both theoretical and empirical analysis.

Postgraduate Studies Programme

Αναλογιστική Επιστήμη και Διαχείριση Κινδύνων

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

102

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/19681

Collections

Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα